Q: 1.When optimizing trading system in Tradestation you buy 100 shares in case of a buy signal, and you sell 100 shares in case of a sell short signal. The position sizing is for each trade 100 shares. Now you can calculate the mean R (= expectancy) for this trading system and this way of position sizing.
2. Now you use the same trading system with a different position sizing method. For example scaling in and using a trailing stop. If you calculate the mean R (= expectancy) for this system+position sizing, you get a different value for expectancy.
Please tell me, what method does IITM / Dr. Tharp recommend to calculate the expectancy?
A: Each R-multiple is calculated by dividing the profit/loss by the initial risk. Expectancy is the average R multiple of the sample and it has nothing to do with position sizing.
Your example are quite confusing because you are assuming that position sizing has something to do with expectancy. Also, in my opinion, trade station does not calculate position sizing.
